2:01 AM
killnine
Example for HV Calculation:
Suppose we have the daily stock price data and would want to calculate HV for 10-day period (10-day HV).
The daily stock price data is in the first two column of the table below:
Note:
Step 1, 2 and 3 in the table will be described below.
Steps to calculate Historical Volatility (using MS Excel):
Step 1: Calculate the Price Returns.
In this case for the above example, we use formula (4) mentioned in the earlier part (Part 2).
However, when the price change is quite small, the price returns calculated using formula (3) or (4) is quite similar.
Step 2: Calculate the Standard Deviation of the Price Returns, which...
